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Approaching European supervisory risk assessment with SupTech : a proposal of an early warning system

Guerra, Pedro; Castelli, Mauro; Côrte-Real, Nadine - In: Risks : open access journal 10 (2022) 4, pp. 1-23

Risk analysis and scenario testing are two of the core activities carried out by economists at central banks. With the increasing adoption of machine learning to enhance decision-support systems, and the amount of collected data spiking, institutions provide countless use-cases for the...

Persistent link: https://www.econbiz.de/10013357249

Bank stress testing : a stochastic simulation framework to assess banks' financial fragility

Montesi, Giuseppe; Papiro, Giovanni - In: Risks : open access journal 6 (2018) 3, pp. 1-54

We present a stochastic simulation forecasting model for stress testing that is aimed at assessing banks’ capital adequacy, financial fragility, and probability of default. The paper provides a theoretical presentation of the methodology and the essential features of the forecasting model on...

Persistent link: https://www.econbiz.de/10011890804

Money as insurance

Laurila, Hannu - In: Risks : open access journal 10 (2022) 12, pp. 1-13

cost of market deposits and increasing the cost of using cash as insurance against external uncertainty. …

Persistent link: https://www.econbiz.de/10014230960

Fiscal, investment and export multipliers and the COVID-19 pandemic slowdowns uncertainty factor in the First Half of 2020

Derkacz, Arkadiusz J. - In: Risks : open access journal 8 (2020) 4/122, pp. 1-21

The COVID-19 pandemic has caused a significant slowdown in the development of almost all economies in the world. In this context, the main goal of this research is to try to present changes in the value of fiscal, investment and export multipliers as a result of the COVID-19 pandemic. The...

Persistent link: https://www.econbiz.de/10012390857

Combining a matheuristic with simulation for risk management of stochastic assets and liabilities

Bayliss, Christopher; Serra, Marti; Nieto, Armando; … - In: Risks : open access journal 8 (2020) 4/131, pp. 1-14

Specially in the case of scenarios under uncertainty, the efficient management of risk when matching assets and …

Persistent link: https://www.econbiz.de/10012391566

Towards a more resilient festival industry : an analysis of the adoption of risk management models for sustainability

Lorincz, Katalin; Formadi, Katalin; Ernszt, Ildiko - In: Risks : open access journal 11 (2023) 2, pp. 1-18

festival organizers have faced unprecedented challenges and risks (detect), how they survived in complete uncertainty (protect …. The biggest challenges for the organizers during the times of the pandemic were uncertainty and unpredictability, with … more flexible management decisions to deal with uncertainty have emerged among the festival organizers (restore). The …

Persistent link: https://www.econbiz.de/10014246213

Leaning against the bubble : Central Bank intervention in Walrasian asset markets

Chang, Chia-ling; Ilomäki, Jukka; Laurila, Hannu - In: Risks : open access journal 9 (2021) 12, pp. 1-12

The paper presents a two-period Walrasian financial market model composed of informed and uninformed rational investors, and noise traders. The rational investors maximize second period consumption utility from the payoffs of trading risk-free holdings to risky assets in the first period. The...

Persistent link: https://www.econbiz.de/10012705091

The Dynamic connectedness between risk and return in the fintech market of India : evidence using the GARCH-M approach

Bhatnagar, Mukul; Özen, Ercan; Taneja, Sanjay; Grima, Simon - In: Risks : open access journal 10 (2022) 11, pp. 1-16

Fintech allows investors to explore previously unavailable investment opportunities; it provides new return opportunities while also introducing new risks. The aim of this study is to investigate the relationship between risk and return in the fintech industry in the Indian stock market. This...

Persistent link: https://www.econbiz.de/10014225995

Air pollution and mortality impacts

Dong, Zhe Michelle; Shang, Han Lin; Bruhn, Aaron - In: Risks : open access journal 10 (2022) 6, pp. 1-21

This study quantifies the air quality impact on population mortality from an actuarial perspective, considering implications to the industry through the application of findings. The study focuses on the increase in mortality from air quality changes due to extreme weather impacts. We conduct an...

Persistent link: https://www.econbiz.de/10013363013

A managed volatility investment strategy for pooled annuity products

Li, Shuanglan; Labit Hardy, Héloïse; Sherris, Michael; … - In: Risks : open access journal 10 (2022) 6, pp. 1-30

Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products. While longevity risk sharing in pooled annuities has...

Persistent link: https://www.econbiz.de/10013363078